==================================================
cleaning
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cleaning TreasuryDirect data
all govpx auction shocks
auction-specific govpx shocks
on-the-run govpx non-auction shocks
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summary stats
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number of auctions per year
dollar value of auctions per year
b2c time series
2
3
5
7
10
30
summary stats: auction shocks
summary stats: non-auction shocks
T-test pvalue, full sample:  .26873987
T-test pvalue, term=2:  .06209557
T-test pvalue, term=5:  .67339807
T-test pvalue, term=10:  .79697072
T-test pvalue, term=30:  .66059707
shock time series
2
3
5
7
10
30
compare govpx and cme shocks
rolling shocks
auction demand regressions
by term
auction demand scatter plots
2
3
5
7
10
30
2
3
5
7
10
30
2
3
5
7
10
30
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asset price regressions
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intraday regressions
LQD
HYG
GLD
SPY
IWM
MBB
VMBS
daily regressions
daily corporate debt
D_MD_AAA
D_MD_BAA
D_BAML_C
daily equities
Dlog_PSPCOMP
Dlog_PFRUSSL2
daily commodities/inflation/spreads
Dlog_PGSCITOT
D_PICAIS10
D_PICAIS2Y
D_LIBOR_OIS_spr
D_PUSAUTCD
D_PUSBANCD
D_VXOCLS
fed fund futures
ffr_cont_1m_interday
ffr_cont_slope_interday
intraday regressions
LQD
HYG
GLD
SPY
IWM
MBB
VMBS
daily regressions
daily corporate debt
D_MD_AAA
D_MD_BAA
D_BAML_C
daily equities
Dlog_PSPCOMP
Dlog_PFRUSSL2
daily commodities/inflation/spreads
Dlog_PGSCITOT
D_PICAIS10
D_PICAIS2Y
D_LIBOR_OIS_spr
D_PUSAUTCD
D_PUSBANCD
D_VXOCLS
fed fund futures
ffr_cont_1m_interday
ffr_cont_slope_interday
intraday rolling regressions
LQD
GLD
SPY
IWM
daily rolling regressions
D_MD_AAA
Dlog_PSPCOMP
Dlog_PFRUSSL2
D_PICAIS10
D_PICAIS2Y
Dlog_PGSCITOT
D_MD_AAA_BAA
D_LIBOR_OIS_spr
daily fed funds futures rolling regressions
ffr_cont_0m shock
ffr_cont_1m shock
ffr_cont_2m shock
ffr_cont_3m shock
ffr_cont_4m shock
ffr_cont_5m shock
ffr_cont_6m shock
ffr_cont_7m shock
ffr_cont_8m shock
ffr_cont_9m shock
ffr_cont_10m shock
ffr_cont_11m shock
ffr_cont_12m shock
LQD
GLD
SPY
IWM
D_MD_AAA
Dlog_PSPCOMP
D_PICAIS10
Dlog_PGSCITOT
D_MD_AAA_BAA
ffr_cont_0m shock
ffr_cont_1m shock
ffr_cont_3m shock
ffr_cont_6m shock
ffr_cont_9m shock
ffr_cont_12m shock
infl swap regressions; all terms
infl swap regressions; by terms
2
3
5
7
10
30
10-year Treasury rates
Moody's Aaa rates
==================================================
preferred habitat regressions
==================================================
running localization regression
running regressions: varying tau_star=6
running regressions: varying tau_star=10
Warning: estimated covariance matrix of moment conditions not of full rank.
         overidentification statistic not reported, and standard errors and
         model tests should be interpreted with caution.
Possible causes:
         number of clusters insufficient to calculate robust covariance matrix
         covariance matrix of moment conditions not positive definite
         covariance matrix uses too many lags
         singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
running regressions: varying long/short cutoffs=8
running regressions: varying long/short cutoffs=4
Warning: estimated covariance matrix of moment conditions not of full rank.
         overidentification statistic not reported, and standard errors and
         model tests should be interpreted with caution.
Possible causes:
         number of clusters insufficient to calculate robust covariance matrix
         covariance matrix of moment conditions not positive definite
         covariance matrix uses too many lags
         singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
running regressions: RR crises
running regressions: HKM crises
running regression
running regressions: b2c_all
running regressions: b2c_all_resid
running regressions: D_b2c_all
running regressions: b2c_indirectBidder
running regressions: b2c_indirectBidder_resid
running regressions: D_b2c_indirectBidder
intraday regressions, interacted with crisis
BSV
BIV
BLV
CSJ
CIU
CLY
LQD
HYG
MBB
VMBS
SPY
IWM
==================================================
misc analysis
==================================================
20101209
govpx
cme
20110811
govpx
cme
cleaning FRED model data
cleaning NSS model data
preparing model target data
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main_empirical finished
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